Air is released from fuel lines or radiators, not from the furnace itself. According to Wet Head Media, air gets in the fuel lines of an oil furnace when your oil runs low, the lines become clogged or you run out of oil completely and air is sucked into the fuel lines. Old House Journal states that air gets in your radiators because cold water holds more air than warm water and when the water is heated, the air rises to the top.

Gas Furnace

If you have a gas furnace that heats using hot water radiators, you release the air using the bleed valve on the side. The bleed valve may be on the top or at the bottom near the turn off and on valve. The Buyer's Inspector Service advises that there is a radiator key you can use to open the valve. Hold a jar or pitcher under the bleed valve to catch the water, while unscrewing the bleed valve slowly. Water will begin to spurt out, releasing the air and eventually run out smoothly. There is a similar bleed valve at the end of baseboard radiators. Bleed all of the radiators in the house.

Oil Furnace

According to Wet Head Media, you release air from an oil furnace fuel line using the bleed screw. You can locate the bleed screw near the front of the pump. They suggest that the following process will work on most oil furnaces: "Loosen the bleed screw with an adjustable wrench or pair of pliers, then screw it back with your hand. Hit the reset button on the motor; this turns the pump and creates suction in the fuel lines. Wait about 2 seconds and loosen the bleed screw about half a turn and you will see a gush of air followed by a stream of fuel oil. Repeat the process several times until you see a steady stream of fuel coming out." In case there is a problem with the reset button, Wet Head Media provides the following advice: "if you hit the motor reset button and it does not turn on or you get a locked out message, you will need to hold the reset button for 10 seconds, then press it again to get the motor started. This may only work for older and some newer model burners. Most newer models have lock outs that cannot be overridden for safety reasons."

Warning

Readers Digest's The Family Handyman advises checking the water pressure before you bleed radiators. They also suggest that you may need to open and close the water valve to add more pressure while you are actually bleeding the radiators.

Source:

Wet Head Media: How to Bleed an Oil burner.

Old House Journal: How To Take Care of Your Radiators

Buyers Inspector Service: Heat and Air

More Information:

Readers Digest: The Family Handyman: How to Bleed A Hot Water Radiator And Clear A Steam Radiator Vent